Cash Flow Data and Asset Prices in Japan: An Empirical Analysis

Research Project

Project/Area Number	24730287
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Multi-year Fund
Research Field	Public finance/Monetary economics
Research Institution	Hiroshima University (2013-2014) Okayama Shoka University (2012)
Principal Investigator	YAMANE Akiko 広島大学, 社会(科)学研究科, 講師 (60580173)
Project Period (FY)	2012-04-01 – 2015-03-31
Project Status	Completed (Fiscal Year 2014)
Budget Amount *help	¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000) Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000) Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000) Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Keywords	ファイナンス / キャッシュフローリスク
Outline of Final Research Achievements	In this research, we adopt the perspective of a buy-and-hold investor and measure betas from firms' cash flow to explain the portfolio returns in the Japanese stock market. Our finding is that the longer the horizon of the investment is, the better the cash flow betas work for the cross-sectional tests. We also find that the CAPM betas estimated using accounting data are consistent with long-horizon portfolio returns.